Date Domension with DirectQuery connection

Use the below Power Query to create Date Master then use it, Try it

let
Source = (StartDate as date, EndDate as date, optional Culture as nullable text) as table =>
let
DayCount = Duration.Days(Duration.From(EndDate - StartDate)),
Source = List.Dates(StartDate,DayCount,#duration(1,0,0,0)),
TableFromList = Table.FromList(Source, Splitter.SplitByNothing()),
ChangedType = Table.TransformColumnTypes(TableFromList,{{"Column1", type date}}),
RenamedColumns = Table.RenameColumns(ChangedType,{{"Column1", "Date"}}),
InsertYear = Table.AddColumn(RenamedColumns, "Year", each Date.Year([Date])),
InsertQuarter = Table.AddColumn(InsertYear, "QuarterOfYear", each Date.QuarterOfYear([Date])),
InsertMonth = Table.AddColumn(InsertQuarter, "MonthOfYear", each Date.Month([Date])),
InsertDay = Table.AddColumn(InsertMonth, "DayOfMonth", each Date.Day([Date])),
InsertDayInt = Table.AddColumn(InsertDay, "DateInt", each [Year] * 10000 + [MonthOfYear] * 100 + [DayOfMonth]),
InsertMonthName = Table.AddColumn(InsertDayInt, "MonthName", each Date.ToText([Date], "MMMM", Culture), type text),
InsertCalendarMonth = Table.AddColumn(InsertMonthName, "MonthInCalendar", each (try(Text.Range([MonthName],0,3)) otherwise [MonthName]) & "'" & Text.Range(Number.ToText([Year]),2,2)),
InsertCalendarQtr = Table.AddColumn(InsertCalendarMonth, "QuarterInCalendar", each "Q" & Number.ToText([QuarterOfYear]) & " " & Number.ToText([Year])),
InsertDayWeek = Table.AddColumn(InsertCalendarQtr, "DayInWeek", each Date.DayOfWeek([Date])),
InsertDayName = Table.AddColumn(InsertDayWeek, "DayOfWeekName", each Date.ToText([Date], "dddd", Culture), type text),
InsertWeekEnding = Table.AddColumn(InsertDayName, "WeekEnding", each Date.EndOfWeek([Date]), type date),
InsertWeekStarting = Table.AddColumn(InsertWeekEnding, "WeekStart", each Date.StartOfWeek([Date]), type date)
in
InsertWeekStarting,
#"Invoked FunctionSource" = Source(#date(2016, 1, 1), #date(2016, 12, 31), null),
#"Changed Type" = Table.TransformColumnTypes(#"Invoked FunctionSource",{{"MonthOfYear", Int64.Type}, {"QuarterOfYear", Int64.Type}, {"DayOfMonth", Int64.Type}, {"DayInWeek", Int64.Type}}),
#"Duplicated Column" = Table.DuplicateColumn(#"Changed Type", "Date", "Date - Copy"),
#"Calculated Week of Year" = Table.TransformColumns(#"Duplicated Column",{{"Date - Copy", Date.WeekOfYear}}),
#"Renamed Columns" = Table.RenameColumns(#"Calculated Week of Year",{{"Date - Copy", "WeekofMonth"}}),
#"Changed Type1" = Table.TransformColumnTypes(#"Renamed Columns",{{"Year", Int64.Type}, {"DateInt", Int64.Type}, {"MonthInCalendar", type text}, {"QuarterInCalendar", type text}}),
#"Added Custom" = Table.AddColumn(#"Changed Type1", "Sorting Order", each [Year]*100 + [MonthOfYear]),
#"Filtered Rows" = Table.SelectRows(#"Added Custom", each true),
#"Changed Type2" = Table.TransformColumnTypes(#"Filtered Rows",{{"Sorting Order", Int64.Type}})
in
#"Changed Type2"